5.

MODELE DINAMICE

5.1. Metoda controlului optimal

)HQRPHQHOH úL SURFHVHOH HFRQRPLFH DX ORF vQ WLPS /XDUHD vQ FRQVLGHUDUH

H[SOLFLW DWLPSXOXLFRQGXFHODPRGHOHGLQDPLFHFDUHVHUH]ROY FXRPHWRG VSHFLDO 

QXPLW  FRQWURO RSWLPDO 0HWRGD FRQWUROXOXL RSWLPDO D IRVW FRQFHSXW  SHQWUX WUDWDUHD

PRGHOHORU GLQDPLFH FRQWLQXH (D D IRVW SXV  OD SXQFW vQ DQLL FLQ]HFL SHQWUX DSOLFD LL

PLOLWDUH úL LQGXVWULDOH GH F WUH PDWHPDWLFLDQXO UXV 3RQWUHDJKLQ 8WLOL]DUHD PHWRGHL

FRQWUROXOXL RSWLPDO vQ HFRQRPLH SHUPLWH R DERUGDUH úWLLQ LILF  D SUREOHPHORU

LQWHUWHPSRUDOH úL FRQWULEXLH OD FODULILFDUHD PRGXOXL GH DUWLFXODUH D FRQVLGHUD LLORU SH

WHUPHQOXQJúLVFXUW

1. &DUDFWHUL]DUHJHQHUDO DPRGHOHORUGLQDPLFH

0RGHOXO GLQDPLF HVWH R UHIOHFWDUH D VLVWHPHORU HFRQRPLFH GLQDPLFH úL VH

caUDFWHUL]HD] SULQXUP WRDUHOHHOHPHQWH

D2UL]RQWXOúLVFDUDGHWLPS

6LVWHPXO HFRQRPLF HVWH VWXGLDW úL DQDOL]DW SH R DQXPLW  SHULRDG  GH WLPS T.
Definim, deci, orizontul de timp (sau de planificare) ca intervalul [0,T]. Un decupaj al
acestui interval în SHULRDGH HOHPHQWDUH GH R DQXPLW  OXQJLPH GHWHUPLQ  VFDUD GH

timp.
ÌQILJXUDGHPDLMRVHVWHGDW RDVWIHOGHVFDU 

--|------|------|------|-------------|------|------------|------->
0 h 2h 3h ........ (k-1)h kh ......… nh

1XP UXO WRWDO GH SHULRDGH HOHPHQWDUH n, este definit de: n=T/h, unde T este
lungimea orizontului, iar h este lungimea perioadei elementare. Cea de a k-DSHULRDG 

HOHPHQWDU vQFHSHODPRPHQWXO (k-1)húLVIkUúHúWHODPRPHQWXOkh.

 Pentru variaELOHOH PRGHOHORU GLQDPLFH VXQW XWLOL]DWH vQ PRG X]XDO GRX  WLSXUL

GHQRWD LL

• QRWD LDLQGLFLDW FDUHUHSHUHD] YDULDELOHOHPRGHOXOXLSULQLQGLFHOHSHULRDGHL

• QRWD LD IXQF LRQDO  FDUH UHSHUHD]  YDULDELOHOH vQ IXQF LH GH WLPSXO VFXUV GH OD

debutul orizontului de timp.

7UHFHUHD GH OD XQ WLS GH QRWD LH OD DOWXO SHUPLWH WUDWDUHD ULJXURDV  D UDSRUWXOXL

GLQWUHWLPSXOGLVFUHWúLWLPSXOFRQWLQXX

b) Variabile de stare
8Q PRGHO GLQDPLF XUP UHúWH HYROX LD vQ WLPS D IHQRPHQXOXL HFRQRPLF

PRGHODW'HRVHELPGRX WLSXULGHYDULDELOHFHFDUDFWHUL]HD] DFHDVW HYROX LH

• YDULDELOH WLS IOX[ FDUH P VRDU  FH VH vQWkPSO  FX IHQRPHQXO PRGHODW vQWU -o
SHULRDG HOHPHQWDU 

• YDULDELOH WLS VWRF FDUH P VRDU  HIHFWXO FXPXODW OD XQ PRPHQW GDW DO

HYROX LHLSURFHVXOXL

VariabileOH WLS VWRF H[SULP  starea IHQRPHQXOXL PRGHODW $FHDVW  VWDUH HVWH

REVHUYDW ODPRPHQWHOH {0, h, 2h,...,kh,...,nh=T}. La data t=kh, starea procesului este

p
UHSUH]DQWDW  SULQ YDULDELOH JUXSDWH vQWU -un vector din R  SUHVXSXQHP F  H[LVW  p
variabile care caUDFWHUL]HD]  VWDUHD OD XQ PRPHQW GDW 1RW P DFHVW YHFWRU GH VWDUH

prin X(t)vQQRWD LDIXQF LRQDO VDXSULQ XkvQQRWD LDLQGLFLDW 

3HRUL]RQWXODOHVIHQRPHQXOVDXSURFHVXOPRGHODWXUPHD] RDQXPLW HYROX LH

p
vQVSD LXO R al variabilelor de stare, reSHUDW SULQúLUXOGHYHFWRUL

{X(0),X(h),...,X(t-h),X(t),...,X(T)},
sau
{X0,X1,...,Xk-1,Xk,...,XT/h}.

(YROX LDSURFHVXOXLPRGHODWvQVSD LXOVW ULORUSRDUW QXPHOHGH traiectorie.

 c) Variabile de control (sau de decizie)
În timpul perioadei (t-h,t] asupra unor variabile tip "flux" trebuie luate decizii,
DGLF  WUHEXLH DOHV QLYHOXO DFHVWRUD 0XO LPHD YDULDELOHORU GH WLS IOX[ QXPLWH úL

variabile de control sau de decizie, FRUHVSXQ] WRDUH XQHL SHULRDGH HOHPHQWDUH GDWH

m
sunt regrupate într-un vector din R  SUHVXSXQHP F  VXQW m variabile de decizie).
1RW PDFHVWYHFWRUSULQXWVDX uk$OHJHUHDGHF WUHGHFLGHQWDQLYHOXOXLYDULDELOHORU

GHFRQWUROODGDWDWSRDWHILOLPLWDW GHXQQXP UGHUHVWULF LL6FULHPDFHVWOXFUXVXE

forma u(t)∈U sau uk∈U 0XO LPHD U HVWH R SDUWH D VSD LXOXL R
m
 QXPLW  PXO LPH GH

GHFL]LL DGPLVLELOH ÌQ XQHOH PRGHOH GLQDPLFH HVWH SRVLELO FD PXO LPHD U V  GHSLQG 

GHWLPSúLGHVWDUHDVLVWHPXOXL U = U(X(t),t).

G(FXD LDGHWUDQ]L LH

ÌQ HYROX LD VD SURFHVXO WUHFH GH OD R VWDUH OD DOW a. Starea sistemului la data t
GHSLQGH GH VWDUHD vQUHJLVWUDW  OD GDWD t-h, de nivelul variabilelor de control la acea
GDW u(t)úLGHOXQJLPHDSHULRDGHLHOHPHQWDUHh$FHDVW GHSHQGHQ VHVFULHvQIRUP 

JHQHUDO DVWIHO

X(t)=A(X(t-h),u(t),t,h) , t=h,2h,...,T [1]

unde A (•)HVWHRDSOLFD LHIXQF LHFXYDORULvQR )RORVLQGQRWD LDLQGLFLDW

p
DYHP

Xk = Ak ( Xk-1, uk, h ) , k=1,2,...,T/h

5HOD LD >@ GHILQHúWH HFXD LD GH WUDQ]L LH FDUH DUDW  PRGXO FXP VLVWHPXO WUHFH

dintr-o stare în alta.

2FODV IRDUWHU VSkQGLW GH PRGHOHGLQDPLFHVXQWFHOHGLIHUHQ LDOHDGLF FHOH

vQFDUHHFXD LDGHWUDQ]L LHHVWHRHFXD LHFXGLIHUHQ HILQLWHGHWLSXO

X(t)-X(t-1)= a(X(t-h), u(t), t)h , t=h,2h,...,T [2]

sau Xk - Xk-1 = ak (Xk-1, uk)h , h=1,2,...,T/h.
)XQF LD ak (•) P VRDU  YDULD LD VW ULL VLVWHPXOXL vQ XQLWDWHD GH WLPS D SHULRDGHL

k'HFLGHQWXOFRQWUROHD] HYROX LDVLVWHPXOXLDF LRQkQGvQILHFDUHSHULRDG QXGLUHFW

DVXSUDVW ULLFLLQGLUHFWDVXSUDYDULD LHL acesteia.

H6WDUHDLQL LDO DVLVWHPXOXL

La data t=0 starea sistemului, X0 HVWH FXQRVFXW  X0=ξ. 'DF  VH FXQRDúWH úL

VHFYHQ D GH GHFL]LL {u1,u2,...,uk,...,uT/h} atunci traiectoria sistemului este perfect

GHWHUPLQDW  SULQ UH]ROYDUHD HFXD LLORU GH WUDQ]L LH >@ VDX >@ SDV FX SDV FXQRVFkQG

X0 úL u1 se deduce X1, cunoscând X1 úL u2 se deduce X2 úDPG ÌQ XQHOH FD]XUL HVWH
SRVLELOV FXQRDúWHPVWDUHDILQDO  XT=η,úLvQED]DVHFYHQ HLGHGHFL]LLV FRQVWUXLP

DVHP Q WRU WUDLHFWRULD ÌQ SULPXO FD] VH ]LFH F  PRGHOXO GLQDPLF HVWH SURVSHFWLY vQ

FHO ODOWPRGHOXOHVWHUHWURVSHFWLY'HVLJXUF vQFD]XOUHWURVSHFWLYHFXD LDGHWUDQ]L LH

HVWHGLIHULW VWDUHDVLVWHPXOXLODGDWD t depinzând de starea sa la data t+1.

f) Criteriul de optimizare
'HFLGHQWXO XUP UHúWH XQ RELHFWLYGHWHUPLQDW 'H H[HPSOX HO SRDWH DYHD GUHSW

VFRSV PD[LPL]H]HXQFULWHULXGHIRUPD

J=[ ∑
k
Bk(Xk-1,uk)]h + M(XT/h)

sau J=[B(X(0),u(1),1)+..+B(X(t),u(t+h),t+h)]h+..+M(X(T)).

)XQF LD Bk(Xk-1,uk) P VRDU FkúWLJXOUHDOL] at, în unitatea de timp, în perioada k,

DúD FXP HVWH HO HYDOXDW OD GDWD  $FHVWD GHSLQGH GH GHFL]LD OXDW  vQ SHULRDGD

UHVSHFWLY  úL GH VWDUHD VLVWHPXOXL OD vQFHSXWXO DFHOHL SHULRDGH )XQF LD M(XT/h)
P VRDU YDORDUHDDWULEXLW VLVWHPXOXLHFRQRPLFODVIkUúL tul orizontului de timp.
În majoritatea modelelor economice dinamice, criteriul J HVWH R VXP 

DFWXDOL]DW  GH IOX[XUL ILQDQFLDUH GDWRUDWH SHULRDGHORU VXFFHVLYH 5HJXOLOH DFWXDOL] ULL

YDORULORUDUDW F SHQWUXRSHULRDG GHOXQJLPH h (h<1) avem:

 - 1 leu plasat în t=0 este echivalent cu (1+rh) OHL OD VIkUúLWXO XQHL SHULRDGH GH
lungime h;
k
- 1 leu plasat în t=0 este echivalent cu (1+rh) OHLODVIkUúLWXODk perioade;
- vQ FRQVHFLQ  YDORDUHD DFWXDOL]DW  D  OHX GLVSRQLELO vQ D k-D SHULRDG  HVWH

-k
(1+rh) lei.
S-DFRQVLGHUDWF UDWDGHDFWXDOL]DUHSHXQLWDWHDGHWLPSHVWH r.
Criteriul J devine:

∑
-k -T/h
J= bk(Xk-1,uk)(1+rh) h + m(XT/h)(1+rh) sau
k

-1/h -t/h -T/h

J=[ b(X(0),u(1),1)(1+rh) +...+b(X(t-h),u(t),t)(1+rh) ]h+...+m(X(T)) (1+rh)

unde bk UHVSHFWLY P GHVHPQHD]  YDORDUHD FkúWLJXOXL UHDOL]DW vQ SHULRDGD k,

(respectiv T/hHYDOXDW ODVIkUúLWXODFHVWHLSHULRDGH3ULQPXOWLSOLFDUHDFXIDFWRUXOGH

actualizare, criteriul JH[SULP YDORDUHDDFWXDO DFkúWLJXULORU

Particularizând valorileOXLKVHRE LQGLIHULWHFODVHGHPRGHOHGLQDPLFH$VWIHO

pentru h=1 RE LQHP PRGHOXO GLQDPLF GLVFUHW SHQWUX h<1 modelul dinamic este
discretizat, iar pentru h→0, modelul dinamic devine continuu.

5.2. Modelul dinamic discret (MDd)

Este definit pentru perioade elementare de lungime h=1. El se scrie astfel:

∑
-t -T
Max J = bt(Xt-1, ut)(1+r) + m(XT)(1+r)
t

Xt-Xt-1 = at(Xt-1,ut) , t=1,...,T [3]

ut ∈ U , X0=ξ [4]

0'GSRVHG RVWUXFWXU SDUWLFXODU 

¾ este un model cu 2T variabile (u1,u2,...,uTúLX1,X2,...,XT);

¾ HFXD LD GH WUDQ]L LH >@ SXQH vQ UHOD LH vQ ILHFDUH SHULRDG  HOHPHQWDU  QXPDL 

variabile: Xt-1úLXt;
¾ UHOD LD >@ VH UHIHU  vQ ILHFDUH SHULRDG  GRDU OD YDULDELOD GH FRQWURO

FRUHVSXQ] WRDUHSHULRDGH i respective;

¾ VROX LD RSWLPDO  D 0'G HVWH FRQVWLWXLW  GLQ WUDLHFWRULD RSWLPDO 

X*=(X*1,X*2,...,X*T)úLGLQSROLWLFDRSWLPDO u*=(u*1,u*2,...,u*T);
¾ vQPRGHOHOHGLQDPLFHGLVFUHWHFRQFUHWHPDLSRWLQWHUYHQLXUP WRDUHOHFRPSOLFD LL

-VHLPSXQUHVWULF LLDVXSUDVW ULLILQDOHDIHQRPHQXOXLPRGHODW fT(XT) ≤ 0;

- se LPSXQUHVWULF LLDVXSUDVW ULLIHQRPHQXOXL în toate perioadele: ft(Xt) ≤ 0, t=1,...,T.
-HFXD LDGHWUDQ]L LHHVWHRHFXD LHUHWDUGDW 

Xt-Xt-1=at(Xt-1,Xt-2,...,Xt-s, ut),
FDUH H[SULP  IHQRPHQHGH PHPRULH LQGXFkQG RGHSHQGHQ  PDL SXWHUQLF ID  GH

trecut.

([LVW QXPHURDVHIHQRPHQHúLSURFHVHHFRQRPLFHFDUHVHPRGHOHD] FXDMXWRUXO

(MDd). Cele mai frecvente sunt procesele de aprovizionare-stocare, procese de

RUGRQDQ DUHLQYHVWL LLHWF

5.3. Modelul dinamic continuu (MDc)

6H RE LQH GLQ PRGHOXO GLQDPLF JHQHUDO SULQ WUHFHUH OD OLPLW  I FkQG h→0, a
UHOD LLORUVFULVHVXEIRUP IXQF LRQDO 

-t/h -rt
lim (1+rh) =e
lim [X(t) - X(t-h)]/h = dX(t)/dt.

• •
'HULYDWD YDULDELOHL GH VWDUH VH QRWHD]  FX X (t ) . Vectorul X (t ) HVWH GH DFHHDúL

dimensiune cu vectorul X(t)2E LQHPDVWIHOPRGHOXO0'F

 T
-rt -rT
Max J = ∫
0
b(X(t),u(t),t)e dt + m(X(T))e

•
X (t )=a(X(t),u(t),t)

u(t)∈ U, X(0)= ξ

6ROX LDPRGHOXOXLVHFDXW SULQWUHIXQF LLOH

X : [0,T]→R →R .
p m
úLX>7@

(VWH XQ PRGHO SDUWLFXODU GH GLPHQVLXQH ILQLW  8QHRUL PRGHOHOH GLQDPLFH

FRQWLQXL SUH]LQW RUL]RQW LQILQLW &kQGQXH[LVW  ULVFXO DPELJXLW LL SXWHPUHQXQ DOD

PHQ LRQDUHDYDULDELOHLW0RGHOXOGHYLQHvQDFHVWFD]

T
-rt -rT
Max J = ∫o
b(X,u,t)e dt + m(X(T))e

•
X (t ) = a(X,u,t)

u∈U , X(0) =ξ .

(MDc) este utilizat pentru modelarea proceselor controlabile în orice moment,

DGLF  vQ WLPS UHDO 'DWRULW  FRPRGLW LL IRORVLULL FDOFXOXOXL GLIHUHQ LDO úL LQWHJUDO

PRGHOXO FRQWLQXX VH SUHWHD]  OD DQDOL]D IHQRPHQHORU HFRQRPLFH SHQWUX FDUH VFDUD

WLPSXOXLHVWHDUELWUDU 

' PvQFRQWLQXDUHXQH[HPSOX de utilizare a modelelor dinamice.

5.4. Gestiunea unei resurse naturale

&RQVLGHU PRvQWUHSULQGHUHFDUHH[SORDWHD] RUHVXUV QDWXUDO GHH[HPSOXR

PLQ  GH PHWDOH SUH LRDVH VDX R H[SORDWDUH IRUHVWLHU  )LH RUL]RQWXO > 0,T]. Cantitatea
GH UHVXUV  H[SORDWDW  HVWH LPHGLDW YkQGXW  SH R SLD  XQGH vQWUHSULQGHUHD GH LQH R
SR]L LH GH PRQRSRO )DFHP DEVWUDF LH SHQWUX PRPHQW GH FRVWXULOH GH H[SORDWDUH

ÌQWUHSULQGHUHD GRUHúWH V  SURJUDPH]H H[SORDWDUHD UHVXUVHL SH RUL]RQWXO GDW DVWIHO

vQFkWV PD[LPL]H]HVXPDEHQHILFLLORUDFWXDOL]DW FXRUDW  r.

a) MDd.
Activitatea întreprinderii pe perioada t=(t-1,t] HVWH UHSUH]HQWDW  SULQ

variabilele:
✔ nivelul resursei la începutul perioadei t, Xt-1;
✔ FDQWLWDWHDH[WUDV vQSHULRDGD t, ut (ut≥0);
✔ SUH XOSLH LLvQSHULRDGD t, care deSLQGHGHFDQWLWDWHDGHUHVXUV H[SORDWDW  p(ut).

ÌQWHRULDPLFURHFRQRPLF IXQF LDFDUHG SUH XOXQXLEXQvQIXQF LHGHFDQWLWDWHDGLQDFHOEXQVH

QXPHúWH IXQF LD FHUHULL LQYHUVH 3UHVXSXQHP F  HVWH YRUED GHVSUH XQ EXQ QRUPDO DGLF  XQ EXQ OD

FDUH SUH XO VFDGH SH P VXU  FH FDQWLWDWHD GH EXQ FUHúWH $FHDVWD UHYLQH OD FRQGL LD FD GHULYDWD GH

RUGLQXO,DIXQF LHLFHUHULLLQYHUVHV ILHQHJDWLY  p’<0);

✔ QLYHOXO LQL LDO DO UHVXUVHL HVWH FXQRVFXW  X0=ξ ,PSXQHP GHDVHPHQHD R FRQGL LH
úL DVXSUD VW ULL ILQDOH FDQWLWDWHD GH UHVXUV  OD VIkUúLWXO RUL]RQWXOXL GH WLPS  XT)
WUHEXLHV GHS úHDVF XQQLYHOPLQLPGDW s), evitând epuizarea resursei.
0RGHOXOGHJHVWLXQHRSWLPDO DUHVXUVHLQDWXUDOHHVWH

∑
-t
Max J = p(ut)ut(1+r)
t

Xt-Xt-1 = ut
ut ≥0 , XT≥s , X0 = ξ .
$FHVWD HVWH XQ 0'G FDUDFWHUL]DW GH R YDULDELO  GH VWDUH  p=1 R YDULDELO  GH

control (m=1 R PXO LPH GH GHFL]LL DGPLVLELOH U HJDO  FX R+ úL R UHVWULF LH GH VWDUH
ILQDO  XT≥s.

b) MDc.
 Fie u(t) IXQF LD FDUH P VRDU  YLWH]D GH H[SORDWDUH D UHVXUVHL UHVSHFWLY

FDQWLWDWHDH[WUDV vQXQLWDWHDGHWLPSODGDWD 3UHVXSXQHPF vQWUHSULQGHUHDSRDWHvQ

t
RULFHPRPHQWV DMXVWH]HYLWH]DGHH[SORDWDUH0RGHOXOGHJHVWLXQHRSWLPDO HVWH

T
-rt
Max J = ∫
0
p(u)ue dt

•
X = -u

u≥0, X(T)≥s, X(0)=ξ .

5H]ROYDUHD PRGHOXOXL GHWHUPLQ  ULWPXO vQ FDUH YD IL H[SORDWDW  UHVXUVD 6H

SUHVXSXQH F  vQWUHSULQGHUHD FXQRDúWH UDWD GH DFWXDOL]DUH  QLYHOXO LQL LDO [

r , minimul
ILQDOVúLIXQF LDFHUHULLLQYHUVH p(u).
* VLUHD HIHFWLY  D VROX LHL VH IDFH FX DMXWRUXO SULQFLSLXOXL PD[LPXOXL DO OXL

3RQWUHDJKLQFHYDILSUH]HQWDWvQSDUDJUDIXOXUP WRU

5.5. Principiul maximului

3ULQFLSLXO OXL 3RQWUHDJKLQ IXUQL]HD]  FRQGL LLOH QHFHVDUH GH RSWLP vQ P odelele
GLQDPLFH 9RP VWDELOL DFHVWH FRQGL LL SHQWUX 0'G LDU DSRL SULQ WUHFHUH OD OLPLW 

pentru (MDc).
3HQWUXVLPSOLILFDUHDVFULHULL YRP DQDOL]DFD]XO FkQG H[LVW  RVLQJXU YDULDELO 

de stare (p=1 R VLQJXU  YDULDELO  GH FRQWURO  m= LDU PXO LPHD deciziilor
admisibile U VH H[WLQGH OD WRW VSD LXO R DFHDVWD vQVHPQkQG GH IDSW F  QX LPSXQHP

UHVWULF LLDVXSUDYDULDELOHLGHGHFL]LH1HUHIHULPGHFLODPRGHOXO0'G(FXD LLORU

GH WUDQ]L LH >@ vQ QXP U GH T OL VH DVRFLD]  PXOWLSOLFDWRULL /DJUDQJH λ. Fie λt

Φt = (1+r) λt. Variabila Φt

t
multiplicatorul asociat celei de a t-D UHVWULF LH 1RW P

UHSUH]LQW  YDORDUHD DFWXDOL]DW  D PXOWLSOLFDWRUXOXL  λt la data t 3HQWUX FRHUHQ  YRP

nota cu Φ0 PXOWLSOLFDWRUXO DVRFLDW UHVWULF LHL X0=ξùLUXOGHYDULDELOH Φ0,Φ1,Φ2

,…,ΦT se numesc variabile adjuncte ale modelului dinamic. Scriem acum
lagrangeanul problemei (MDd):

L (•)= ∑ [bt(Xt-1,ut)-Φt(Xt-Xt-1-at(Xt-1,ut))](1+r) +m(XT)(1+r) - Φ0(X0- ξ).

-t -T

&RQGL LLOH GH RSWLPDOLWDWH VH GHGXF GLQ DQXODUHD GHULYDWHORU SDU LDOH DOH

lagrangeanului:
derivatele în raport cu ut, t=1,...,T

[∂bt/∂ut+ Φt∂at/∂ut ](1+r) = 0

-t

derivatele în raport cu Xt-1, pentru t=2,...,T

∂bt/∂Xt-1+Φt(1+∂at/∂Xt-1)](1+r) -Φt-1(1+r)
-t -(t-1)
=0
derivata în raport cu X0:

[∂bt/∂X0 + Φ1(1+∂a1/∂X0)](1+r) - Φ0= 0

-1

derivata în raport cu XT:

[- ΦT+m’(XT)](1+r) = 0
-T

'XS VLPSOLILF ULOHSRVLELOHVHRE LQUHOD LLOH

∂bt/∂ut +Φt∂at/∂ut = 0
Φt - (1+r) Φt-1 = - [∂bt/∂Xt-1+Φt∂at/∂Xt-1], t=1,2,...,T
Φt = m’(XT)
2ULFH VROX LH RSWLPDO   X*,u* D PRGHOXOXL 0'G HVWH DVRFLDW  XQXL úLU GH

variabile adjuncte Φ* = (Φ*0 , Φ1* ,..., Φt* ,..., ΦT* )DVWIHOvQFkWV ILHUHDOL]DWHFRQGL LLOH

X * − X t*− 1 = at ( X t*− 1 , ut* ), t = 1,2,..., T

[I]  *t
X 0 = ξ

 * ∂bt ( X t*− 1 , ut* ) * ∂at ( X t − 1 , ut )

* *
Φ − + Φ *
= − + Φ
[II]  t
(1 r ) t −1 [ ]
∂X t − 1 ∂X t − 1
t

Φ* = m , X *
 T T( )
  ∂bt ( X t*− 1 , ut* ) ∂a ( X * , u * )
[III]  + Φt* t t − 1 t = 0
 ∂ut ∂ut

3HQWUX D LQWHUSUHWD PDL XúRU DFHVWH UHOD LL VH GHILQHúWH R QRX  IXQF LH QXPLW 

hamiltonian.
6HQXPHúWHKDPLOWRQLDQXOPRGHOXOXLGLQDPLF0'GIXQF LD HtGHILQLW SULQ

Ht = bt(Xt-1,ut)+Φtat(Xt-1,ut).
5HOD LLOHGHPDLVXVGHYLQ

 * ∂H t*
− *
= , t = 1,2,..., T
[I]  t
X X t −1
∂Φt
 X* = ξ
 0

 * ∂H t*
Φ t − (1 + r )Φ t − 1 = − , t = 1,2,..., T
*

[II]  ∂X t − 1
Φ * = m ’ X *
 T ( )
T

 ∂H t*
[III]  = 0, t = 1,2,..., T
 ∂ut

6HREVHUY vQXOWLPHOHUHOD LLF YDULDELOHOH XtúLΦtMRDF XQUROVLPHWULF

• variabila de stare XtHVWHVROX LDXQHLHFXD LLGHWUDQ]L LHFXFRQGL LHLQL LDO 

• YDULDELOD DGMXQFW  Φt HVWH GHDVHPHQHD VROX LD XQHL HFXD LL GH WUDQ]L LH GDU FX
FRQGL LHILQDO 

• DOGRLOHDWHUPHQDOXQHLHFXD LLGHWUDQ]L LHDOXQHLDGLQFHOHGRX YDULDELOHHVWHFX

VHPQVFKLPEDWGHULYDWDSDU LDO DKDPLOWRQLDQXOXLvQUDSRUWFXFHDODOW 

• FRQIRUPFX>,,,@YDULDELODGHFRQWUROVHH[SULP vQIXQF LHGH Xt-1úLΦt;

• vQ DFHVWH FRQGL LL VLVWHPXO FRQVWLWXLW GLQ FHOH GRX  HFXD LL GH WUDQ]L LH HVWH XQ

VLVWHPFXSODWDGLF PHPEUXOVWkQJDOILHF UHLDGHSLQGHGH Xt-1, respectiv Φt.

Variabilele adjuncte sunt multiplicatorii Kuhn-7XFNHU DVRFLD L HFXD LHL GH

WUDQ]L LH (OH DX R LQWHUSUHWDUH HFRQRPLF  DVHP Q WRDUH GLQ SXQFW GH YHGHUH
PDUJLQDOLVWDUDW YDULD LDVXIHULW GHFULWHULXOGHRSWLPGDWRUDW YDULD LHLYDULDELOHLGH

stare. Variabila Φs* HVWH YDORDUHD OD GDWD V DWULEXLW  VW ULL VLVWHPXOXL DWLQV  OD DFHD

GDW  SULQ WUDLHFWRULD RSWLP  &X DOWH FXYLQWH GDF  YDULDELOD GH VWDUH X*s VXIHU  R

SHUWXUED LH GH R XQLWDWH OD GDWD s YD UH]XOWD R YDULD LH D VXPHL DFWXDOL]DWH D

FkúWLJXULORUHJDO FX Φs*.

2EVHUYD LH

ξ
&RQVLGHU PPRGHOXO0'G VRE LQXWSULQWUXQFKLHUHDPRGHOXOXL0'GSHQWUX

a restrânge orizontul de timp la intervalul [s,T], pornind la data sGLQSR]L LDLQL LDO ξ
. Modelul devine:
T

∑
-(t+s) -(T-s)
[ bt(Xt-1,ut)(1+r) + m(XT)(1+r)
t = s +1

Xt-Xt-1 = at(Xt-1,ut) , t=s,s+1,...,T

ut ∈ U , Xs = ξ

1RW P FX > X*t([,s),t=s,...,T] traiectoria sistemului, [Φ*t([,s), t=s,...,T]

YDULDELOHOH DGMXQFWHúL J*([,s) valoarea criteriului de optim a modelului trunchiat. Se
REVHUY  F  SHQWUX s=0 UHJ VLP PRGHOXO 0'G DGLF  X*t=X*t([,0), Φ*t=Φ*t([,0) úL
J*=J*([,0) $SOLFkQG SULQFLSLXO PD[LPXOXL PRGHOXOXL WUXQFKLDW VH RE LQ H[DFW

FRQGL LLOH GH RSWLPDOLWDWH DQWHULRDUH $FHDVWD DUDW  F  WUDLHFWRULLOH RSWLPDOH DOH

PRGHOHORU0'GúL0'G[ ,s) sunt acelHDúLSHLQWHUYDOXO>s,T@ELQHvQ HOHVQXPDLGDF 

SR]L LD LQL LDO  D PRGHOXOXL WUXQFKLDW OD GDWD V FRLQFLGH FX SR]L LD DWLQV  OD GDWD s de
WUDLHFWRULDRSWLPDO DPRGHOXOXL0'GDGLF  X*t(X*s,s) = X*t, Φ*t (X*s,s) = Φ*t pentru
RULFHVúLWDVWIHOvQFkW s<t5HOD LDGLQWUHYDORULOHFULWHULLORUFHORUGRX PRGHOHHVWH

s
J* = ∑ bt(X*t-1,u*t)(1+r) + J*(X*s,s)(1+r) .
-t -s

t =1
 $FHDVW  UHOD LH H[SULP  principiul de optimalitate al lui Bellman, FDUH VW  OD

baza unui demers alternativ al modelelor dinamice numit SURJUDPDUHGLQDPLF .

ÌQ FD]XO FRQWLQXX SULQFLSLXO PD[LPXOXL FRQGXFH OD XUP WRDUHOH FRQGL LL

necesare de optimalitate:
 * ∂H * (t )
X (t ) = , t ∈ [0, T ]
[I]  ∂Φ
 X * ( 0) = ξ


 * ∂H * (t )
Φ = Φ − , t = 1,2,..., T
[II] 
*
(t ) r (t )
∂X
(
Φ* (T ) = m , X * (T )
 )

 ∂H * (t )
[III]  = 0, t = 1,2,..., T
 ∂u

$FHVWH FRQGL LL VXQW úL VXILFLHQWH GDF  KDPLOWRQLDQXO H HVWH R IXQF LH FRQFDY 

în XúL uÌQVFULHUHDFRQGL LLORUV-DSUHVXSXVF  0'F HVWH GHILQLWFDRSUREOHP  GH

GLPHQVLXQH ILQLW  úL F  DUH ORF FRQYHUJHQ D FRQGL LLORU GH RSWLPDOLWDWH DOH PRGHOXOXL

GLVFUHWL]DW F WUH FHOH DOH PRGHOXOXL FRQWLQXX $FHVWH LSRWH]H VXQW VDWLVI FXWH vQ

majoritatea modelelor economice.

Adesea, modelele economice sunt caracterizate de mai multe variabile de stare
úL GH FRQWURO QX QXPDL GH FkWH XQD DúD FXP DP SUHVXSXV SkQ  DFXP FD úL GH

UHVWULF LL GH OHJ WXU  vQWUH DFHVWHD 3ULQFLSLLOH HQXQ DWH PDL VXV U PkQ YDODELOH

vQORFXLQGSURGXVXOGHQXPHUHSULQSURGXVXOVFDODUúLGHULYDWHOHIXQF LLORUSULQYHFWRUL

GHJUDGLHQW)RUPXO PGHFLSULQFLSLXOPD[LPXOXLvQWU -un cadru mai larg, în care X(t)

C(X(T))≤0, unde C
q
úL u(t) sunt vectori în R LDUUHVWULF LDGHVWDUHILQDO HVWHGHWLSXO

q q
HVWHRIXQF LHGLIHUHQ LDELO úLFRQYH[ GHOD R la R . Hamiltonianul, în acest caz este:

H = b(X(t),u(t),t) + ∑ Φ (t)a (X(t),u(t),t),

i i

i
unde ai (•) este a i-D FRPSRQHQW DDSOLFD LHL a. Principiul maximului pentru modelul
0'FVHHQXQ DVWIHO

&RQGL LD QHFHVDU  SHQWUX FD [X*(t), u*(t)] V  ILH R VROX LH RSWLPDO  D

q
PRGHOXOXL 0'F HVWH V  H[LVWH IXQF LD YHFWRULDO ) *(t)R  GHILQLW  SH > 0,T@ úi
s
un vector J*R , astfel încât pentru orice t[0,T]V DYHP

[1] H(X*(t),u*(t),)*(t),t)t H(X*(t),u(t),)*(t),t), uU

[2] ) (t) = r)*(t) -’x H*
*
[3] ) (T) = m’(X*(T)) + J*’xC(X*(T))
*
[4] J t 0 , J*C(X*(T)) = 0

&RQGL LLOH >@ úL >@ VH QXPHVF condL LL GH WUDQVYHUVDOLWDWH ale problemei de
control optimal.

5.6. Model dinamic de dezvoltare a întreprinderii

6FRSXO DFHVWXL SDUDJUDI HVWH V  LOXVWUH]H WHKQLFLOH XWLOL]DWH vQ PRGHODUHD

IHQRPHQHORU úL SURFHVHORU HFRQRPLFH DWXQFL FkQG VH LQH VHDPD GH DVSHFWXO G inamic
DO DFHVWRUD DGLF  DWXQFL FkQG YDULDELOHOH úLVDX SDUDPHWULL PRGHOXOXL VXQW IXQF LL GH

WLPS LDU PRGHOHOH LOXVWUHD]  HYROX LD IHQRPHQXOXL VDX SUHFHVXOXL HFRQRPLF SH XQ

orizont de timp dat.

Vom construi un model dinamic al întreprinderii, particularizat la deciziile de

GH]YROWDUH D DFWLYLW LL VDOH ÌQFHSHP VSHFLILFDUHD PRGHOXOXL SULQ SUH]HQWDUHD XQRU

LSRWH]HGHED] 

¾ Ipoteza 1 (I1 9LD D vQWUHSULQGHULL VH GHUXOHD]  SH R VXFFHVLXQH GH T perioade
DQL WULPHVWUH HWF (VWH LSRWH]D GH ED]  vQ PRGHOHOH GLQDPLFH )HQRPHQHOH úL

SURFHVHOHHFRQRPLFHFDUHVHGHVI úRDU vQvQWUHSULQGHUHQXVXQWDERUGDWHVWDWLFOD

 XQDQXPLWPRPHQWFLvQHYROX LDORUSHXQRUL]RQWGHWLPSIL[DWVHFYHQ LRQDOL]DW

în T perioade.
¾ Ipoteza 2 (I2): Întreprinderea dispune de un centru de decizie unic (de exemplu,
$GXQDUHD *HQHUDO  D $F LRQDULORU $FHDVW  LSRWH]  IL[HD]  PRGXO GH DERUGDUH D

SUREOHPHORU GHFL]LRQDOH OHJDWH GH GH]YROWDUHD VD ÌQ XUPD GLVFXW ULL úL DSURE ULL

ELODQ XOXL FRQWDELO vQ $*$ VH GHFLGH DVXSUD GH]YROW ULL întreprinderii pe
SHULRDGDXUP WRDUH'DF V DUUHQXQ DODRDVWIHOGHLSRWH] DULQWHUYHQLSUREOHPH
-
de decizie multinivel care presupun o coordonare a decizziilor pe nivele
GHFL]LRQDOH,SRWH]DQXHVWHUHVWULFWLY H[LVWkQGPHWRGHúLWHKQLFLGHRSWLPL]DU ea
deciziilor multinivel.
¾ Ipoteza 3 (I3 6H UHIHU  OD FRQGL LLOH DVXSUD HYROX LHL PHGLXOXL HFRQRPLF DO

vQWUHSULQGHULL úL DQXPH SUHVXSXQH F  VXQWHP vQ FRQGL LL GH FHUWLWXGLQH GHFL

YLLWRUXO HVWH SHUIHFW FXQRVFXW ÌPSUHXQ  FX I1 DFHDVWD DUDW  F  vQWUHSULQ derea
DF LRQHD]  vQ FRQGLWLL GH SUHYL]LXQH SHUIHFW  DGLF  GH H[HPSOX HD FXQRDúWH

H[DFW FDUH YD IL HYROX LD FRVWXULORU GH SURGXF LH D FHUHULL GH SURGXVH HWF SH

întregul orizont de timp considerat [0,T@ $FHDVW  LSRWH]  HVWH UHVWULFWLY  vQWU -o
oarecaUH P VXU  GDU OXDUHD vQ FRQVLGHUDUH H[SOLFLW  D LQFHUWLWXGLQLL DU FRPSOLFD

IRDUWH PXOW PRGHOXO ,QFHUWLWXGLQHD úL ULVFXO OHJDW GH DFHDVWD DX IRVW DERUGDWH

separat în capitolul III consacrat acestor tipuri de modele.

¾ Ipoteza 4 (I46HUHIHU ODFRPSRUWDPHQWXODF LRQDULORUvQWUHSULQGHULLúLSUHVXSXQH

F  DFHúWLD DX XQ FRPSRUWDPHQW HFRQRPLF UD LRQDO XUP ULQG V  PD[LPL]H]H R

IXQF LH GH XWLOLWDWH U=U(v1,...,vT), unde vt HVWH YHQLWXO QHW UHDOL]DW GH DF LRQDUL vQ
perioada t, t=1,2,...,T,SRWH]DIL[HD] GHFLIXQF LDRELHFWLYDPRGHOXOXLFDUHYDIL

{Max U} HYLGHQW VXE GLYHUVH UHVWULF LL FDUH SRW V  DSDU  $YkQG vQ YHGHUH úL I2,
vQVHDPQ  F  SUHVXSXQHP R FRRUGRQDUH SHUIHFW  úL R WUDQVSDUHQ  DEVROXW  vQWUH

DF LRQDUL úL JHVWLRQDUL PDQDJHUL 0DQDJHULL VH DQJDMHD]  SULQ FRQWUDFWXO GH

PDQDJHPHQW V  VSRUHDVF  ERJ LD DF LRQDULORU (L YRU SUH]HQWD DFHVWRUD VWUDWHJLD

GH GH]YROWDUH D vQWUHSULQGHULL úL GHFL]LLOH FH GHFXUJ GLQ HD GDU GHFL]LD ILQDO 
 DSDU LQH DF LRQDULORU FDUH XUP UHVF QX R PD[LPL]DUH D YHQLWXOXL QHW W otal, ci o
PD[LPL]DUHDXWLOLW LLSHFDUHRRE in cu aceste venituri.
¾ Ipoteza 5 (I5 1X H[LVW  QLFL R GLVWRUVLXQH vQWUH ILVFDOLWDWHD vQWUHSULQGHULL úL D

DF LRQDULORU FD SHUVRDQH IL]LFH ,SRWH]D VH UHIHU  OD IDSWXO F  LPSR]LWHOH SO WLWH GH

întreprindere sXQW ILH LPSR]LWH GLUHFWH DO F URU PRG GH FDOFXO QX VFKLPE 

FRPSRUWDPHQWXODF LRQDULORUILHLPSR]LWHLQGLUHFWHSHYHQLWXULOHGLQGLYLGHQGHDOH

DF LRQDULORUFDUHLQIOXHQ HD] DFHVWFRPSRUWDPHQW

¾ Ipoteza 6 (I6 ([LVW  R SLD  GH FDSLWDO SHUIHFW  $FHDVWD SUHVXSXQH F 

vQWUHSULQGHUHD SRDWH OD RULFH GDW   V  LD FX vPSUXPXW VDX V  vPSUXPXWH DO L
t
DJHQ L HFRQRPLFL VXE IRUPD SODVDPHQWHORU RULFH VXPH GH EDQL OD R UDW  D

dobânzii rFXQRVFXW GLQDLQWH

Acestea au fost doar câteva probleme legate de specificarea modelului dinamic

DO vQWUHSULQGHULL 3HQWUX R VSHFLILFDUH FRPSOHW  WUHEXLH LQWURGXVH úL DOWH QR LXQL

HFRQRPLFHúLFRQWDELOH$FHVWIDSWYDGHWHUPLQDFDSHP VXUDFRQVWUXLULLPRGHOXOXLV 

LQWURGXFHPúLDOWHLSRWH]H

Conform cu considera iile f cute la modelele dinamice, trebuie definite

RUL]RQWXOGHWLPSYDULDELOHOHGHVWDUHúLGHFRPDQG úLHFXD LDGHWUDQ]L LHDVW ULORU

Definirea elementelor modelului dinamic

Orizontul de timp al modelului poate fi reprezentat grafic astfel:

|---|---|-----------------|---|-------------------------|-->
0 1 2 ... t-1 t ... T
Perioada t a orizontului va fi intervalul (t-1,t@ (YROX LD vQWUHSULQGHULL SH

perioada tHVWHGHWHUPLQDW GH

♦ variabile "flux", notate prin vectorul ut FDUH P VRDU  VXPD RSHUD LLORU UHDOL]DWH vQ

perioada t;
♦ variabile "stoc", reprezentate prin vectorul Et FDUH FDUDFWHUL]HD]  HIHFWXO FXPXODW

ODXQPRPHQWGDWDODF LXQLORUvQWUHSULQGHULLvQWRDWHSHULRDGHOHWUHFXWH
 VariaELOHOH IOX[ FRUHVSXQG GHFL]LLORU FH WUHEXLH OXDWH vQ RULFH SHULRDG  t, iar
YDULDELOHOH VWRF UHSUH]LQW  VWDUHD vQWUHSULQGHULL OD RULFH GDW  PRPHQW W 6WDUHD

întreprinderii la data t, Et HVWH GHWHUPLQDW  GH VWDUHD OD GDWD t-1, Et-1 úL GH GHFL]LLOH ut
luate în perioada t=(t-1,t]3XWHPVFULHF HFXD LDGHWUDQ]L LHDVW ULORUHVWH Et=Ft(Et-

1,ut)  >@ $VWIHO HYROX LD vQWUHSULQGHULL YD IL SHUIHFW GHWHUPLQDW  GDF  VH FXQRVF

VWDUHD LQL LDO  E0 úLUXO GH GHFL]LL >u1,u2,...,uT@ úL IXQF LLOH Ft FDUH GHWHUPLQ  WUDQ]L LD

de la o stare la alta.
'HILQLP DFXP SULQFLSDOHOH YDULDELOH IOX[ DVRFLDWH DFWLYLW LL vQWUHSULQGHULL SH

perioada t:

1. Cifra de afaceri: CAt

2. Cheltuielile de exploatare: CHt
&KHOWXLHOLOHGHLQYHVWL LL It
4. Cheltuielile financiare: CFt
5. Impozitul pe profit: IMt
6. Amortizarea: At
9DULD LDGDWRULLORU xt
&UHúWHUHDFDSLWDOXOXL kt

'HVLJXU F  VH SRW GHILQL úL DOWH YDULDELOH 3HQWUX QHYRLOH QRDVWUH DFHVWHD VXQW

VXILFLHQWH 3H ED]D ORU FDOFXO P XQ QXP U GH LQGLFDWRUL GH UH]XOWDWH GHF i alte
variabile:

0DUMDEUXW GHH[SORDWDUH MBt = CAt - CHt

10. Profitul brut: PBt = MBt - CFt
11. Profitul "net" : PNt = PBt - At
3URILWXOGXS LPSR]LWDUH

Pt = PNt - WtPNt = (1- Wt) PNt

 unde Wt este rata de impozit.
Putem considera, simplifiFkQGF W
t=WRULFDUHDUILWDGLF UDWDGHLPSR]LWSH

SURILWQXVHPRGLILF SHRUL]RQWXOGHPRGHODUHúL Pt = (1-W) PNt .

3URILWXO GXS  LPSR]LWDUH HVWH UHSDUWL]DW SH GRX  GHVWLQD LL R SDUWH 3' t) se
GLVWULEXLH FD GLYLGHQGH DF LRQDULORU LDU UHVWXO HVWH UH LQXW GH vQWUHSULQGHUH SHQWUX

dezvoltare (PRt). Avem egalitatea: Pt = PDt + PRt [2].

(FRQRPLVLUHDEUXW  et = PRt + At
14. Fluxul de numerar (cash-flow): FNt = Pt + At

ÌQ SUH]HQWDUHD I FXW  DX IRVW QHJOLMDWH VWRFXULOH GH PDWHULL SULPH úL SURG use
ILQLWHWUH]RUHULDSDUWLFLSDUHDODDOWHVRFLHW LSOXV YDORULOHúLYkQ] ULOHGHLPRELOL] UL
-
'HILQLP DFXP YDULDELOHOH VWRF FH FDUDFWHUL]HD]  DFWLYLWDWHD vQWUHSULQGHULL

3HQWUXDFHDVWDSRUQLPGHODELODQ XOFRQWDELODOvQWUHSULQGHULLFDUHvQPRGVF hematic,

la data t, cuprinde în partea de Activ, activele imobilizate, iar în cea de Pasiv,
IRQGXULOH SURSULL úL GDWRULLOH &RQVLGHUkQG SH GH R SDUWH DFWLYXO QHW FRQWDELO $1
t),

LDU SH GH DOW  SDUWH IRQGXULOH SURSULL )3  úL GDWRULLOH ; scriem rela LD FRQWDELO 
t t),

IXQGDPHQWDO  ANt = FPt + Xt [3]. Variabilele stoc ANt, FPt, Xt sunt variabilele de
VWDUHHVHQ LDOHDOHVLVWHPXOXLGLQDPLFSHFDUH OUHSUH]LQW vQWUHSULQGHUHD(YROX LDORU
-
HVWHGHVFULV GHXQHOHUHOD LLFRQWDELOHFODVLFH

ƒ - YDULD LD DFWLYXOXL QHW FRQWDELO vQWUH GRX  SHULRDGH HVWH HJDO  FX GLIHUHQ D GLQWUH

LQYHVWL LLúLDPRUWL]DUH ANt - ANt-1 = It - At [4].

ƒ YDULD LD IRQGXULORU SURSULL vQWUH GRX  SHULRDGH HVWH HJDO  FX FUHúWHUHD FDSLWDOXOXL

SOXVFUHúWHUHDSURILWXULORUUH LQXWHSHQWUXGH]YRO tare:

FPt - FPt-1 = kt + PRt [5].
ƒ -YDULD LD GDWRULLORU vQWUH GRX  SHULRDGH HVWH HJDO  FX VXPD vPSUXPXWDW 

UDPEXUVDW VDXSODVDW GDF [

t<0): Xt - Xt-1 = xt [6].
5HOD LD>@VFULV SHQWUXGRX PRPHQWHVXFFHVLYH t-1úLt, devine:
ANt-1 = FPt-1 + Xt-1
ANt = FPt + Xt
 sau:
(ANt - ANt-1) = (FPt - FPt-1) + (Xt - Xt-1)
LQkQGFRQWGHUHOD LLOH>@>@úL>@RE LQHP

It - At = kt + PRt +xt [7]

sau It = kt + At + PRt + xtúLFXPPRt + At = etUH]XOW 

It = kt +xt + et [8]

5HOD LLOH>@úL>@VXQWUHOD LLXWLOL]DUH UHVXUVHúLH[SULP IDSWXOF LQYHVWL LLOH

-
realizate în perioada t (It VXQW ILQDQ DWH SULQ FUHúWHUHD FDSLWDOXOXL SURSULX  kt),
împrumut (xt úL HFRQRPLVLUH et $FHDVW  UHOD LH VH YD VFULH GLIHULW GDF  GHILQLP

veniWXO QHW DO DF LRQDULORU FD GLIHUHQ  vQWUH SURILWXO GLVWULEXLW úL FUHúWHUHD FDSLWDOXOXL

vt = PDt - kt [9].
'LQUHOD LLOHDQWHULRDUHGHGXFHPF 

Pt = (1-W)PNt = (1-W)(PBt - At) = (1-W)(MBt - CFt - At).

ÌQDFHODúLWLPS LQkQGFRQWGH>@GHGXFHPHJDO itatea:

PDt +PRt = (1-W)(MBt - CFt - At) [10].

Dar, PRt + At = etDGLF PRt = et - At,úLvQORFXLQGvQ>@UH]XOW 

(1-W)(MBt - CFt - At) = PDt + et - At ,

sau:
et = (1- W)(MBt - CFt - At) - PDt + At [11].

5HOD LD>@GHYLQH

It=kt+xt+et=kt+xt+[(1-W)(MBt-CFt-At)-PDt+At],
DGLF 
 It+(PDt-kt) = xt + (1-W)(MBt-CFt)+ WAt
úL LQkQGFRQWGH>@UH]XOW 

It + vt = xt + (1-W)(MBt - CFt) + WAt [8’].

6XE DFHDVW  IRUP  UHOD LD XWLOL]DUH UHVXUVH DUDW  F  vQ ILHFDUH SHULRDG 
- t,
VXPD LQYHVWLW  SOXV YHQLWXO DF LRQDULORU HVWH HJDO  FX VXPD GLQWUH YDULD LD GDWRULLORU

SURILWXO GXS  LPSR]LWDUH úL WHUPHQXO τAt SURGXVXO GLQWUH DPRUWL]DUH úL UDWD GH

LPSR]LWDUH FDUH VH LQWHUSUHWHD]  FD XQ FUHGLW GH LPSR]LW OHJDW GH OXDUHD vQ FDOFXO

fLVFDODDPRUWL] ULL

$SDUH R SUREOHP  GHRVHELW  LQYHVWL LLOH SRVLELOH D IL UHDOL]DWH GHvQWUHSULQGHUH

WUHEXLHMXGHFDWHGXS FULWHULLGHHILFLHQ úLUHQWDELOLWDWHGDUILQDQ DUHDORUHVWHGHFLV 

GXS  FULWHULL SURSULL DF LRQDULORU 7UHEXLH V  YHGHP GDF  vQ DQXPLWH FRQGL LL

întreprinderea poate lua decizii privind dezvoltarea sa viitoare pe criterii pur

HFRQRPLFH úL WHKQLFH LQGHSHQGHQW GH ILQDQ DUHD úL GLVWULEXLUHD GLYLGHQGHORU DGLF 

LQGHSHQGHQW GH FULWHULLOH SURSULL DF LRQDULORU 3UREOHPD SRDWH F S WD o rezolvare

FRUHFW  SRUQLQG GH OD LSRWH]D ,  GLVFXWDW  DQWHULRU *HVWLXQHD FRQGXFHUHD
4

vQWUHSULQGHULL WUHEXLH DVWIHO I FXW  vQFkW V  VSRUHDVF  ERJ LD DF LRQDULORU VDX DOWIHO

VSXV JHVWLXQHD RSWLP  WUHEXLH V  XUP UHDVF  PD[LPL]DUHD IXQF LHL GH XWLOLWDWH a
DF LRQDULORU 3XWHP IRUPXOD GHFL RSWLPXO PDQDJHULDO FD XQ PRGHO GH RSWLPL]DUH

JHQHUDO 02* FX IXQF LD RELHFWLY Max U(v1,v2,...,vT) VXE UHVWULF LL WHKQLFH

HFRQRPLFH úL ILQDQFLDUH FRUHVSXQ] WRDUH 5H]ROYDUHD XQXL DVWIHO GH PRGHO HYLGHQW

GXS VSHFLILFDUHDUHVWULF LLORUFRQGXFHOD

SURJUDPXOGHLQYHVWL LLSHRUL]RQWXO>7@

SROLWLFDGHvPSUXPXWúLGHSODVDPHQWH

3. politica distribuirii dividendelor pe orizontul ales.

 5H]ROYDUHD SUREOHPHL SXVH DQWHULRU FRQVW  vQ VHSDUDUHD GHFL]LLORU  de
GHFL]LLOHúL(DSRDWHILI FXW SULQUH]ROYDUHD02*vQPDQLHU GHVFHQWUDOL]DW 

GXS VFKHPD

D PDQDJHULL DGRSW  GHFL]LD  VWDELOLQG SURJUDPXO GH LQYHVWL LL SH ED]D XQRU

FULWHULLRELHFWLYHSXU HFRQRPLFH úL WHKQLFH (LVXQW VXERUGRQD L DF LRQD rilor, au rolul

GHDDOHJHSURLHFWHOHGHGH]YROWDUHúLGHDSURSXQHDF LRQDULORUPRGXOGHILQDQ DUHúL

politica de distribuire a dividendelor;

EDF LRQDULLFXVDUFLQDDGRSW ULLGHFL]LLORUúL

ÌQ PRG SUDFWLF WUHEXLH J VLWH GRX  PRGHOH GH RSWLPL]DUH 00 úL 0$

DVRFLDWHPDQDJHULORUúLUHVSHFWLYDF LRQDULORUDVWIHOvQFkW

- PRGHOXO 00 HVWH LQGHSHQGHQW GH FRPSRUWDPHQWXO DF LRQDULORU GDW GH

IXQF LDGHXWLOLWDWH8

-VROX LDPRGHOXOXL00UHSUH]LQW RGDW GHLQWUDUHvQPRGHOXO0$

- VROX LD PRGHOXOXL JOREDO 02* VH RE LQH UH]ROYkQG PDL vQWkL 00 DSRL

0$ DVWIHO vQFkW GHOHJDUHD GH SXWHUH GH GHFL]LH FRQVLP LW  GH DF LRQDUL V 

QXVHWUDGXF SULQWU -o modificare a optimului managerial al întreprinderii.

5.7. Specificarea modelului dinamic

Pentru a speFLILFD FRPSOHW PRGHOXO SH OkQJ  LSRWH]HOH GHMD I FXWH WUHEXLH

introduse unele suplimentare:

¾ Ipoteza 7 (I7([FHGHQWXOEUXWGHH[SORDWDUHVDXPDUMDEUXW UHDOL]DW vQSHULRDGD

tHVWHRIXQF LHFUHVF WRDUHúLVWULFWFRQFDY GH nivelul activului net contabil la data t-

1: MBt= g(ANt-1) >@ FX FRQGL LLOH g’(•)≥0, g’’(•)<0 $FHDVWD HVWH R LSRWH]  GH

QDWXU  SXU HFRQRPLF  úL H[SULP  IDSWXO F  vQWUHSULQGHUHD VH J VHúWH vQ VLWXD LD GH

UDQGDPHQWH GHVFUHVF WRDUH 1LYHOXO D ctivului net contabil poate fi asimilat cu

DYHUHD vQWUHSULQGHULL ILLQG R FDSDFLWDWH SRWHQ LDO  GH D SURGXFH ERJ LH

$FWLYXO QHW FRQWDELO H[SULP  UH]XOWDWXO VWUDWHJLLORU GH GH]YROWDUH SH FDUH
 întreprinderea le-D DGRSWDWSkQ vQDFHO PRPHQW 5HOD LD >@DUDW SH GHRSDUWH

F PDUMDEUXW FUHúWHSHP VXU FHDFWLYXOQHWFUHúWH g’≥0LDUSHGHDOW SDUWHF 

UHQWDELOLWDWHD PDUJLQDO  VFDGH SH P VXU  FH DFWLYXO QHW FUHúWH  g’’<0 GDWRULW 

HIHFWXOXLFRQFXUHQ HLúLVDXDOVDWXU ULLFHUHULLHWF

¾ Ipoteza 8 (I8 GHILQHúWH VWDUHD LQL LDO  D vQWUHSULQGHULL /D GDWD  DFWLYXO QHW

contabil este cunoscut, iar întreprinderea nu are datorii: AN0≥0 , X0=0.

¾ Ipoteza 9 (I9GHILQHúWHVWDUHDILQDO 'HH[HPSOXODGDWD T, întreprinderea nu va
avea datorii: XT=0.
¾ Ipoteza 10 (I10 LQYHVWL LLOH UHDOL]DWH GH vQWUHSULQGHUH VXQW LUHYHUVLELOH It≥0,
t=1,2,...,T,SRWH]DYL]HD] H[FOXGHUHDGLQDQDOL] DSUREOHPHORUGHGH]LQYHVWLUH

¾ Ipoteza 11 (I11 UDWD GREkQ]LL HVWH DFHHDúL SHQWUX ILHFDUH SHULRDG  rt=r 5H]XOW 

F FKHOWXLHOLOHILQDQFLDUHVXQWGDWHGHUHOD LD CFt= r.Xt-1.

¾ Ipoteza 12 (I12 SROLWLFD GH DPRUWL]DUH D FDSLWDOXOXL vQWUHSULQGHULL HVWH OLQLDU 

$FHDVWDvQVHDPQ F  AtHVWHSURSRU LRQDO FX ANt-1DGLF At = a.ANt-1, unde a este

rata de amortizare.
¾ Ipoteza 13 (I13 HVWH GHIDSWRGHILQL LH DXQXL LQGLFDWRUGH HILFLHQ  D FDSLWDOXOXL

vQWUHSULQGHULL'HILQLPUDWDGHUHQWDELOLWDWHPDUJLQDO SULQUHODWLD

ρ(AN) = g’ (AN) - 1.
$FHDVW  QR LXQH YD IL HVHQ LDO  vQ DQDOL]D PRGHOXOXL (D H[SULP  UDQGDPHQWXO

unui leu investit în întreprindere, atunci când aceasta a investit deja AN lei în
trecut (exclusiv amortizarea).
Putem scrie acum modelul general al întreprinderii (MOG):
Max U(v1,v2,...vT)
It + vt = xt + (1-τ)[ g(ANt-1) - rXt-1] + τaANt-1
ANt - ANt-1 = It - aANt-1
Xt - Xt-1 = xt
It ≥0
X0=XT=0 , AN0 = fixat ,
t=1,2,...,T
 Vom trata acest model dinamic cu tehnicile de control optimal prezentate
DQWHULRU 3HQWUX vQFHSXW VWXGLHP FD]XO VLPSOLILFDW vQ FDUH OLPLW P RUL]RQWXO OD 

perioade (T=2úLQHJOLM P impozitele (W úLDPRUWL]DUHD a=0).

0RGHOGHED] FXGRX SHULRDGH

În ipotezele prezentate (T=2,W=0,a=0 PRGHOXO 02* VH VLPSOLILF  IRDUWH

mult:
- PDUMDEUXW UHDOL]DW vQSHULRDGDHVWH

MB1= g(AN0).
(D UHSUH]LQW  FDSDFLWDWHD GH DXWRILQDQ DUH GH FDUH GLVSXQH vQWUHSULQGHUHD SH DFHDVW 

SHULRDG 

- PDUMDEUXW UHDOL]DW vQSHULRDGDHVWH

MB2 = g(AN1) = g(AN0+I1),

ILLQGGHFLRIXQF LHGHLQYHVWL LLOHUHOL]DWHvQSULPDSHULRDG 

- VXPD vPSUXPXWDW  VDX SODVDW  vQ SHULRDGD  HVWH UDPEXUVDW  UHFXSHUDW ) integral
în perioada 2. Deci, X2 = x1+x2+X0 LDU GDWRULW  LSRWH]HORU ,  úL ,
8 9, avem: x2=-x1,
CF1=0, CF2=rx1.
-UHOD LLOHXWLOL]DUH-UHVXUVHUHODWLYHODFHOHGRX SHULRDGHGHYLQ

I1+v1 = x1+MB1, respectiv,

I2+v2 = g(AN0+I1) - (1+r)x1.

Modelul (MOG) este în acest caz:

Max U(v1,v2)
I1+v1=x1+MB1
I2+v2=g(AN0+I1)-(1+r)x1
I1≥0, I2≥0.
 Este vorba despre un model cu cinci variabile (I1,I2,x1,v1,v2 úL SDWUX UHVWULF LL
GRXDHJDOLW LúLGRXDLQHJDOLW L0RGHOXOGHSLQGHGHGRLSDUDPHWULHVHQ LDOL :
- nivelul activului net contabil AN0FDUHSRDWHILDVLPLODWP ULPLLvQWUHSULQGHULL

- rata dobânzii r.

3ROLWLFD RSWLPDO  YD GHSLQGH GH DFHúWL GRL SDUDPHWUL 6H YD DQDOL]D vQ

FRQWLQXDUHQXPDLFD]XOFkQGvQWUHSULQGHUHDHVWHGHWDOLHPLF ODGDWDDVWIHOvQ cât ea

V  ILH LQFLWDW  V  LQYHVWHDVF  'XS  FXP VH YD DU WD vQ FRQWLQXDUH DFHVW FD] VH

ρ(AN0) > r, sau AN0 < [g’] (1+r).

-1
SURGXFHDWXQFLFkQGHVWHvQGHSOLQLW FRQGL LD

&RQGL LD GH LQFLWDUH OD LQYHVWLUH VHPQLILF  IDSWXO F  UDWD GH UHQWDELOLWDWH

PDUJLQDO  D vQWUHSULQGHULL OD GDWD  HVWH VWULFW VXSHULRDU  UDWHL GREkQ]LL $OWIHO VSXV

VHFkúWLJ PDL PXOWLQYHVWLQGvQvQWUHSULQGHUHGHFkWSODVkQGEDQLLSHSLD DILQDQFLDU 

&RQGL LDHVWHvQGHSOLQLW pentru valori mici ale lui AN0GDWRULW FRQFDYLW LLIXQF LH i g.
3UHVXSXQHP F  IXQF LD GH XWLOLWDWH U HVWH GHULYDELO  úL VWULFW FRQFDY  DGLF 

∂U/∂v1>0, ∂U/∂v2>0'LIHUHQ LHP U(v1,v2) úLSXQHP FRQGL LD dU=0 DGLF QHVLWX P

SHRFXUE GHL]RXWLOLWDWH

dU = (∂U/∂v1).dv1 + (∂U/∂v2).dv2 = 0.
5H]XOW 

∂U
dv 2 ∂v 1
− =
dv 1 ∂U
∂v 2

DP RE LQXWUDWD PDUJLQDO GH VXEVWLWXLUH vQWUHOHXYHQLWGLQ SHULRDGD úL  OHXYHQLW

din perioada 1.
Definim:
∂U
∂v 1
Ψ (v 1 , v 2 ) = −1
∂U
∂v 2
QXPLW  UDW  SVLKRORJLF  D DF LRQDULORU FDUH GHSLQGH GH YHQLWXUL úL DUDW  F  OD

OLPLW  DF LRQDULL VXQW LQGLIHUHQ L vQWUH D GLVSXQH GH  OHX vQ SOXV vQ SHULRDGD  VDX

(1+Ψ ) lei în perioada 2.

9RP VWDELOL FRQGL LLOH GH RSWLPDOLWDWH úL YRP DQDOL]D RSWLPXO PDQDJHULDO DO

vQWUHSULQGHULL SH PRGHOXO FX GRX  SHULRDGH FX DMXWRUXO WHKQLFLORU GH SURJUDPDUH

QHOLQLDU  prezentate în capitolul 4.

/DJUDQJHDQXODWDúDWPRGHOXOXLHVWH

L = U(v1, v2) + λ1I1 + λ2I2 - γ1[ I1+v1-x1-MB1 ]- γ2[ I2+v2-g(AN0+I1) +(1+r)x1].

6HYHULILF LPHGLDWF / (•)HVWHRIXQF LHVWULFWFRQFDY vQYDULDELOHOH v1, v2, x1,

I1, I2FHHDFHvQVHDPQ F UHOD LLOH.XKQ 7XFNHUVXQWFRQGL LLQHFHVDUHúLVXILFLHQWHGH
-
RSWLPDOLWDWH6FULHPFRQGL LLOH.XKQ -Tucker:
$QXO PGHULYDWHOHSDU LDOHDOHOXL/ (•) în raport cu variabilele v1, v2, x1, I1, I2:
∂L/∂v1 LPSOLF  ∂U/∂v1 -J1=0
sau
γ1=∂U/∂v1 [1]
∂L/∂v2 LPSOLF  ∂U/∂v2-J2=0
sau γ2=∂U/∂v2 [2]
∂L/∂x1=0LPSOLF γ1-γ2(1+r)=0 [3]
∂L/∂I1=0LPSOLF λ1 -J1+J2g’(AN0+I1)=0 [4]
∂L/∂I2=0LPSOLF λ2 -J2 =0 [5].

0XOWLSOLFDWRULLDWDúD LUHVWULF LLORUGHLQHJDOLWDWHVXQWQHQHJDWLYL

λ1 ≥ 0>@úLλ2 ≥ 0 [7]
&RQGL LLOHGHWUDQVYHUVDOLWDWHVXQW

λ1I1 >@úL λ2I2=0 [9].

 &HOHUHOD LLvPSUHXQ FXUHVWULF LLOHPRGHOXOXLSHUPLWGHWHUPLQDUHDFRPSOHW 

a variabilelor (v 1* , v 2* , x 1* , I 1* , I 2* )DGLF DVROX LHLRSWLPH

3URSULHW LDOHVROX LHLRSWLPH

Proprietatea 1'DF HVWHvQGHSOLQLW FRQGL LDGHLQFLWDUHvQWUHSULQGHUHDLQYHVWHúWHvQ

SULPDSHULRDG DGLF  I*1>0.

'HPRQVWUD LH'LQUHOD LLOH>@úL>@VHHOLPLQ J úLRE LQHP
1

λ1+J2[g’(AN0+I1)-(1+r)]=0 [10]
Deoarece U(v1,v2) HVWH VWULFW FRQFDY  GLQ >@ UH]XOW  J
2>0 ÌPS U LP >@ OD J  úL
2

RE LQHP

λ1/J2 + [g’(AN0+I1)-(1+r)] = 0 [11].

&RQGL LDGHLQFLWDUHODLQYHVWLUHVWDELOLW DQWHULRUHVWH g’(AN0)-(1+r)>0. Presupunem,
SULQ DEVXUG F  I1=0 $WXQFL vQ UHOD LD >@ H[SUHVLD GLQ SDUDQWH]D GUHDSW  HVWH R

FDQWLWDWH SR]LWLY  3HQWUX FD UHOD LD >@ V  ILH DGHY UDW  DU WUHEXL FD λ1/J2<0.
Deoarece J
2>0, rezXOW  λ1<0 FHHD FH FRQWUD]LFH FRQGL LD GH RSWLP >@ 3UHVXSXQHUHD
F  I1=0HVWHGHFLIDOV 

Proprietatea 2ÌQWUHSULQGHUHDQXLQYHVWHúWHvQSHULRDGDDGLF I*2=0.

'HPRQVWUD LH5HOD LD>@DUDW F  λ2 = γ2$PY ]XWF  γ2>0GHFLúL λ2 > 05HOD LD
>@G atunci, în mod necesar, I2 = 0.
Proprietatea 3 ÌQWUHSULQGHUHD LQYHVWHúWH vQ SULPD SHULRDG  DVWIHO vQFkW UDWD

UHQWDELOLW LLPDUJLQDOHV ILHHJDO FXUDWDGREkQ]LLDGLF  ρ(AN0+I*1) = r.

'HPRQVWUD LH 'LQ UHOD LD >@ UH]XOW  F  GDF  I*1>0, trebuie ca λ1=0 5HOD LD >@
devine în acest caz: J
2[g’(AN0+I1)-(1+r)]=0 úL FXP J2>0, avem g’(AN0+I1) = 1+r,
sau g’(AN0+I1) - 1 = r DGLF  ρ(AN0+I*1)=r FRQIRUP FX GHILQL LD UDWHL PDUJLQDOHGH
rentabilitate a întreprinderii.
Proprietatea 4.9HQLWXULOHDF LRQDULORUVXQWIL[DWHvQILHFDUHSHULRDG DVWIHOvQFkWUDWD

SVLKRORJLF DDF LRQDULORUV ILHHJDO FXUDWDGREkQ]LLDGLF  ( )

Ψ v 1* , v 2* = r
'HPRQVWUD LH 'LQ UHOD LD >@ UH]XOW  1+r=γ1/γ2, sau r=(γ1/γ2)-1 úL LQkQG FRQW GH

UHOD LLOH>@úL>@DYHP (
r = Ψ v 1* , v 2* . )
3URSULHW LOH GHPRQVWUDWH DUDW  F  RSWLPXO PDQDJHULDO DO vQWUHSULQGHULL QRWDW

prin (v 1* , v 2* , x 1* , I 1* , I 2* )VHGHWHUPLQ GLQUHOD LLOH

ρ(AN0+I*1) = r
( )
Ψ v 1* , v 2* = r
[12]
I*1+v*1 = x*1+g(AN0)
v*2=g(AN0+I*1)-(1+r)x*1

$PY ]XWF  λ1=0úLUHOD LD>@GHYLQHg’(AN0+I*1)-(1+r)=0SXWkQGILVFULV 

sub forma g’(AN0+I*1)/(1+r)=1 sau -1+[g’(AN0+I*1)]/(1+r)=0 6XE DFHDVW  IRUP 

UHOD LD QX HVWH DOWFHYD GHFkW FRQGL LD QHFHVDU  úL VXILFLHQW  GH RSWLPDOLWDWH pentru
problema:
Max Z = - I1 + [g(AN0+I1)]/(1+r) [13]

Într-DGHY UGLQFRQGL LD ∂Z/∂I1 UH]XOW  - 1+[ g’(AN0+I1)]/(1+r)=0.

)XQF LD Z HVWH YDORDUHD DFWXDOL]DW  D úLUXOXL {-I1, g(AN0+I1)} de fluxuri
ILQDQFLDUH QHWH GDWRUDWH LQYHVWL LLORU O a nivelul I1 5H]XOWDWXO VH JHQHUDOL]HD]  OD PDL

PXOWHSHULRDGHúLFRQGXFHODWHRUHPD

7HRUHP  ÌQ LSRWH]HOH PRGHOXOXL DEVHQ D LPSR]LW ULL SURILWXOXL úL SLD  GH FDSLWDO

SHUIHFW  RSWLPXO PDQDJHULDO DO vQWUHSULQGHULL FRUHVSXQGH FX  PD[LPL]DUHD YDORULL

acWXDOL]DWHDúLUXOXLGHIOX[XULILQDQFLDUHJHQHUDWGHLQYHVWL LLOHHIHFWXDWH

Putem utiliza, deci, drept criteriu de optimizare, maximizarea valorii

actualizate nete (VAN).
([DPLQkQG UHOD LLOH >@ REVHUY P F  QLYHOXO LQYHVWL LLORU HVWH GHWHUPLQDW GH

priPD UHOD LH DGLF  LQGHSHQGHQW GH FHOHODOWH YDULDELOH GH GHFL]LH 3XWHP GHFL IL[D

QLYHOXOLQYHVWL LLORUI U V QHSUHRFXSHSUREOHPHOHOHJDWHGHGLVWULEXLUHDGLYLGHQGHORU

VDX SROLWLFD GH vPSUXPXW $FHDVWD vQVHDPQ  F  GHFL]LD SRDWH IL GHVFHQWUDOL]DW  DúD

FXPDPDU WDWDQWHULRU

0DQDJHULLvQWUHSULQGHULLFRQWDELOL]HD] YHQLWXULOHQHWH
~
v1 úL ~
v 2 care sunt direct

OHJDWHGHLQYHVWL LLúLGHWHUPLQ 

~
v 1 =MB1- I1 úL ~
v 2 = MB2-I2 = g(AN0+I1)-I2.

Putem scrie acum modelul managerului (MM) astfel:

Max [ ~v 1 + ~v 2 /(1+r) ]
v 1 ≤ MB1
~

v 2 ≤ g[AN0+(MB1- ~
~ v 1 )]

Modelul este echivalent cu [13], la care s-DX DG XJDW UHVWULF LLOH GH

LUHYHUVLELOLWDWH D LQYHVWL LLORU vQ FHOH GRX  SHULRDGH 0DQDJHUXO UH]ROY  00 úL

GHWHUPLQ  SROLWLFD RSWLPDO  (~v , ~v )

*
1 2  GH XQGH YD UH]XOWD LPHGLDW SROLWLFD RSWLP  GH
*

LQYHVWL LL (I*1,I*2):

I*1 = MB1- ~v1*
I*2 = g(AN0+I*1)- ~v 2* .
6H YHULILF  XúRU F  DFHDVWD HVWH VROX LH RSWLP  VFULLQG ODJUDQJHDQXO DWDúDW

(MM):
L = ~v 1 + ~v 2 /(1+r)+λ1(MB1- ~v 1 )+λ2[g(AN0+(MB1- ~v 1 ))- ~v 2 ]
&RQGL LLOH.XKQ 7XFNHUVXQWXUP WRDUHOH
-
1. ∂L/∂ ~v1 =0LPSOLF 1-O1-O2g’(AN0+(MB1- ~v 1 ))=0
∂L/∂ ~v 2 =0LPSOLF 1/(1+r)-O2=0
2. λ1≥0 , λ2≥0
3. λ1(MB1- ~v 1 )=0, λ2[g(AN0+(MB1- ~v 1 ))- ~v 2 ]=0 .

6ROX LD RSWLP  (~v , ~v )

*
1 2  GHILQHúWH SROLWLFD RSWLP  D PDQDJHULORU (D HVWH
*

WUDQVPLV DF LRQDULORUFRQVWLWXLQGRGDW GHLQWUDUHvQ modelul acestora (MA). În acest

fel, politica GH LQYHVWL LL D vQWUHSULQGHULL QX GHSLQGH GH SUHIHULQ HOH DF LRQDULORU

UHSUH]HQWDWHSULQIXQF LDGHXWLOLWDWH U). Altfel spus, LQYHVWL LLOHVHDOHJSHED]D criteriilor

pur economice (rúLWHKQLFHgúLQXSHED]DSUHIHULQ HORUDF LRQDULORUU).
0RGHOXODF LRQDULORU0$HVWH

Max U(v1, v2)

v1= ~v1* +x1
v2 = ~v 2* -(1+r)x1
sau, eliminând pe x1vQWUHFHOHGRX UHOD LL

Max U(v1, v2)

v1 + v2/(1+r) = ~v1* + ~v 2* /(1+r).

,QWHUSUHWDUHD PRGHOXOXL 0$ HVWH LPHGLDW  SROLWLFD RSWLPDO  D DF LRQDULORU

FRQVW  vQ PD[LPL]DUHD IXQF LHL GH XWLOLWDWH D YHQLWXULORU VXE UHVWULF LD FD VXPD

YHQLWXULORUDFWXDOL]DWHV ILHHJDO FXRFRQVWDQW  [ ~v1* + ~v 2* /(1+r)] DGLF HJDO FXVXPD

YHQLWXULORUDFWXDOL]DWHUH]XOWDW GLQSROLWLFDRSWLP DPDQDJHULORU

6ROX LHJUDILF

$QDOL]DVROX LHLPRGHOXOXLHVWHSUH]HQWDW vQILJXUDQU

În planul (v1, v2 VH WUDVHD]  SHQWUX v1∈(-∞, MB1) FXUED GH HFXD LH

v0=g(AN2+MB1-v1) $FHDVW  FXUE  QRWDW  SH JUDILF  G UHSUH]LQW  FXUED YHQLWXULORU

PDQDJHULORU(DHVWHRFXUE GHVFUHVF WRDUHúLFRQFDY &XUEDWDLHD[D Ov2 în punctul

A(0,(AN0+g(AN0))) úLVHRSUHúWHvQSXQFWXO B( g(AN0), g(AN0)).
 v2

N*
(U)

A
(G) M*

B
I*1 (∆)
v1
D

)LJXUDQU6ROX LDPRGHOXOXL0$

0XO LPHD SXQFWHORU VLWXDWH VXE FXUED  G) corespunde veniturilor managerilor

( ~v1* , ~v 2*  SHQWUX FDUH FKHOWXLHOLOH GH LQYHVWL LL vQ FHOH GRX  SHULRDGH VXQW SR]LWLYH VDX

QXOH 3ROLWLFD RSWLP  D PDQDJHULORU HVWH UHSUH]HQWDW  vQ SXQFWXO M*( ~v1* , ~v 2* ), în care
GUHDSWDGHHFXD LH

v1+v2/(1+r)= ~v1* + ~v 2* /(1+r),

notaW  ∆SHJUDILFHVWHWDQJHQW ODFXUED G). Toate punctele situate pe dreapta (∆)
FRUHVSXQG YHQLWXULORU FDUH GDX DFHHDúL YDORDUH QHW  DFWXDOL]DW  VAN*= ~v1* + ~v 2* /(1+r).
În particular, abscisa punctului D LQWHUVHF LD dreptei (∆) cu axa Ov1 HVWH HJDO 

tocmai cu VAN*. Punctul M* fiind situat pe curba (GLQYHVWL LDRSWLP DSHULRDGHL

HVWH QXO   I*2=0 ,QYHVWL LD RSWLP  D SULPHL SHULRDGH HVWH P VXUDW  SULQ GLIHUHQ D

absciselor punctelor M* úL B 3ROLWLFD RSWLP  D DF LRQDULORU HVWH UHSUH]HQWDW  GH

punctul N*(v*1,v*2) în care curba (U GH HFXD LH U(v1,v2)=U(v*1,v*2) HVWH WDQJHQW  OD
dreapta (∆ $VWIHO RSWLPXO PDQDJHULDO DO vQWUHSULQGHULL VH GHWHUPLQ  JUDILF vQ GRX 

etape:
• VHRSWLPL]HD]  VAN pe curba (GúLVHGHILQHúWHGUHDSWD∆);
• VHRSWLPL]HD] IXQF LDGHXWLOLWDWH U pe dreapta (∆).

Pantele curbelor (G) în punctul M* úL U) în punctul N* sunt egale cu panta
dreptei (∆ $FHDVWD H[SULP  HJDOLWDWHD vQWUH UDWD GREkQ]LL UDWD SVLKRORJLF  D

DF LRQDULORUúLUDWDUHQWDELOLW LLPDUJLQDOHDvQWUHSULQGHULL

&RQGL LD GH LQFLWDUH OD LQYHVWLUH LPSOLF  IDSWXO F  SXQFWXO M* VH VLWXHD]  OD

stânga punctului B$FHDVW FRQGL LHVHSRDWHVFULHVXEIRUPD

-(1+r)≥ -g’(AN0),
DVWIHOF SDQWDGUHSWHL ∆HVWHVXSHULRDU FHOHLDWDQJHQWH i la curba (G) în punctul B.
6HGLVWLQJGRX FD]XUL

D FkQG LQYHVWL LD HVWH vQ vQWUHJLPH DXWRILQDQ DW  SXQFWXO M* VH VLWXHD]  vQ

primul cadran, între punctele A úL B $VWIHO GH VLWXD LL DSDU DWXQFL FkQG SDQWD GUHSWHL
(∆HVWHLQIHULRDU WDQJHQWHLvQSXQF tul A la curba (G):
(1+r)≥g’[AN0+g(AN0)].
,QHJDOLWDWHDDQWHULRDU VHYHULILF SHQWUXYDORULPDULDOHUDWHLGREkQ]LLúLVDXDOH

P ULPLL LQL LDOH D vQWUHSULQGHULL  AN0 $XWRILQDQ DUHD HVWH VXILFLHQW  SHQWUX

DFRSHULUHDFKHOWXLHOLORUGHLQYHVWL LLDWXQFL când:

-LQYHVWL LDRSWLPDO  HVWHVODE GHRDUHFHUDWDGREkQ]LLIDFHFDRSHUD LLOH

GHSODVDPHQWSHSLD DILQDQFLDU V ILHPDLDWUDFWLYH

- vQWUHSULQGHUHD GLVSXQH GDWRULW  P ULPLL VDOH GH FDSDFLWDWH GH

DXWRILQDQ DUHVXILFLHQW SHQWUXDQXUHFXUJHODDOWHVXUVHGHILQDQ DUH

EFkQGLQYHVWL LLOHVXQWSDU LDODXWRILQDQ DWHSXQFWXO M* este situat în cadranul

DO GRLOHD DGLF  OD VWkQJD SXQFWXOXL A $VWIHO GH VLWXD LL DSDU DWXQFL FkQG

(1+r)<g’[AN0+g(AN0)] DGLF  DWXQFL FkQG UDWD GREkQ]LL úLVDX P ULPHD LQL LDO  D

vQWUHSULQGHULL LDX YDORUL PLFL ÌQ DVWIHO GH VLWXD LL LQYHVWL LLOH VXQW ILQDQ DWH SH GH R
SDUWH SULQ DXWRILQDQ DUH LDU SH GH DOW  SDUWH SULQ vPSUXPXW úLVDX FUHúWHUHD

capitalului.

([WHQVLLDOHPRGHOXOXLGHED] FXGRX SHULRDGH

Modelul pre]HQWDW úL DQDOL]DW DQWHULRU SRDWH IL H[WLQV SULQ DG XJDUHD GH QRL

LSRWH]H $VWIHO VH SRDWH YHGHD FDUH HVWH LPSDFWXO OX ULL vQ FRQVLGHUDUH D LPSR]LWXOXL

SH SURILW úL DPRUWL] ULL VDX D XQRU FRQGL LL GH vPSUXPXW GLIHULWH SHQWUX PDQDJHUL

SHUVRDQHMXULGLFHúLDF LRQDULSHUVRDQHIL]LFH,DW GHH[HPSOXFHGHYLQHPRGHOXO

vQFD]XOOX ULLvQFRQVLGHUDUHDLPSR]LWXOXLúLDPRUWL] ULL

Max U(v1,v2)
I1+v1 = x1+(1-τ)MB1
I2+v2=(1-τ)[g((1-a)AN0+I1)-rx1]-x1+τ a((1-a)AN0+I1)
I1 ≥ 0, I2 ≥ 0.

,QWRGXFHPQRWD LLOH

r = (1-τ)r -UDWDUHDO DGREkQ]LL

MB1 = (1-τ)MB1 -PDUMDQHW GXS LPSR]LWDUHvQSHULRDGD

AN0 = (1-a)AN0 -DFWLYXOQHWFRQWDELOI U DPRUWL]DUH

g ( AN0 +I1)=(1-τ)[g((1-a)AN0+I1)+τa((1-a)AN0+I1) -PDUMD QHW  GXS  LPSR]LWDUH

UHDOL]DW vQSHULRDGD

( AN0 +I1)=(1-τ)ρ((1-a)AN0+I1) -rata de rentabilitate PDUJLQDO GXS LPSR]LWDUH

&RQGL LDGHLQFLWDUHODLQYHVWLUHGHYL ne:

ρ((1-a)AN0) > r
&XDFHVWHQRWD LLPRGHOXOGHYLQH

Max U(v1,v2)
I1+v1 = x1+ MB1
I2+v2 = g ( AN0 +I1)-(1+ r )x1
 I1 ≥ 0, I2 ≥ 0
DGLF  H[DFW PRGHOXO precedent, în care s-a înlocuit rata dobânzii (r) cu rata dobânzii
reale ( r úLPDUMDEUXW 
MB1FXPDUMDQHW  MB1 ).

6HYRURE LQHGHFLUH]XOWDWHDQDORDJH

- optimul managerial este caracterizat de egalitatea diQWUH UDWD SVLKRORJLF  D

DF LRQDULORUUDWDGHUHQWDELOLWDWHPDUJLQDO úLUDWDGREkQ]LLUHDOH

- LQYHVWL LLOHRSWLPDOHVXQWVHOHFWDWHGXS FULWHULXO9$1FXUDWDGHDFWXDOL]DUHHJDO 

cu rata dobânzii reale;

- SULQFLSLXOVHSDU ULLGHFL]LLORUvQWUHDF LRQDULúLPDQDJHULU PkQHYDODELO

Aplicarea tehnicilor de control optimal

Am tratat anterior modelul de dezvoltare a întreprinderii prin prisma tehnicilor

GH SURJUDPDUH QHOLQLDU  9RP DERUGD vQ FRQWLQXDUH DFHODúL PRGHO XWLOL]kQG vQV 

tehnicile de control optimal. 6H YRU VWXGLD GRX  FD]XUL FkQG vQWUHSULQGHUHD VH

DXWRILQDQ HD] úLFkQGDSHOHD] ODvPSUXPXWGHSHSLD DILQDQFLDU 

D0RGHOXOI U vPSUXPXW

Max VAN = v1+v2/(1+r)

I1+v1 = g(AN0)
I2+v2 = g(AN1)
AN1-AN0 = I1-aAN0
I1 ≤ g(AN0)
I2 ≤ g(AN1)
I1 ≥ 0, I2 ≥ 0
3HQWUXDWUHFHODXQPRGHOGLQDPLFFRQWLQXXSUHVXSHXQHPF RUL]RQWXOGHWLPS

este infinit [0,∞5HOX PQRWD LLOHLQWURGXVHDGDSWkQGX -le la timpul continuu. Pentru
VLPSOLILFDUH YRP FRQVLGHUD F  vQWUHSULQGHUHD QX SO WHúWH LPSR]LW LDU DF LRQ arii pot
DFFHGH OLEHU OD SLD D FDSLWDOXULORU SLD  SUHVXSXV  SHUIHFW  FDUDFWHUL]DW  GH UDWD

dobânzii rFRQVWDQW SHWRWRUL]RQWXOGHWLPS

• fie AN(t) nivelul activului net contabil la data t. La data 0, acesta este AN(0)=AN0;
• între momentele túLt+dt, îQWUHSULQGHUHDUHDOL]HD] RPDUM EUXW HJDO FX MB(t)dt,
HIHFWXHD]  FKHOWXLHOLOH GH LQYHVWL LL I(t)dt, distribuie dividendele [MB(t)-
I(t)]dtúLDPRUWL]HD] RSDUWHDGLQFDSLWDOXOV X

• PDUMDEUXW SHXQLWDWHDGHWLPS MBWHVWHRIXQF LHg de capitalul întreprinderii

la data tLDUDFHDVW IXQF LHQXGHSLQGHGHWLPS

MB(t)=g(AN(t)),FXFRQGL LLOHg’ ≥JúLJ  ;

• FKHOWXLHOLOH GH LQYHVWL LL QX SRW IL PDL PDUL GHFkW PDUMD EUXW  UHVWULF LD GH

DXWRILQDQ DUH I(t)≤ g(AN(t));

• LQYHVWL LLOHVXQWLUH versibile: I(t)≥ 0.

Sub forma unui program de control optimal, modelul se scrie astfel:

∞
Max ∫ [g(AN(t) - I(t)]e - rt dt
0

•
AN (t) = I(t)-aAN(t)

g(AN(t))-I(t)≥0
I(t)≥0
AN(0)=AN0.
Este vorba despre un program de control optimal care cRPSRUW  R YDULDELO  GH

stare, ANRYDULDELO GHFRQWURO UHVWULF LLDVXSUDYDULDELOHORUGHVWDUHúLGHFRQWURO

I
orizont infinit.
&RQGL LLOH QHFHVDUH GH RSWLPDOLWDWH VXQW GDWH GH SULQFLSLXO PD[LPXOXL DO OXL

Pontreaghin. Definim hamiltonianul problemei, FRQVLGHUkQG F  UHVWULF LLOH PRGHOXOXL

VH SRW WUDWD FD vQ ODJUDQJHDQXO FODVLF úL UHQXQ kQG V  PDL VSHFLILF P GH ILHFDUH GDW 

variabila t:
H=g(AN)-I +Φ(I - aAN) +θI + β(g(AN) - I)

H HVWH R IXQF LH FRQFDY  vQ ANúL I GHFL FRQGL LLOH QHFHVDUH GH RSWLPDOLWDWH YRU IL úL
VXILFLHQWH$FHVWHFRQGL LLVXQW
 •
Φ =(a+r)Φ-(1+β)g’(AN) [1]
Φ-(1+β) +θ=0 [2]
θI=0, θ≥0, β(g(AN)-I)=0, β≥ 0 [3]
lim Φ(t)e -rt = 0 [4]
t →∞

5HOD LD>@HVWHFRQGL LDGHWUDQVYHUVDOLWDWHDSUREOHPHLSHQWUXRUL]RQWLQILQLWúL

H[SULP IDSWXOF LQWHJUDODGLQFULWHULXOGHRSWLPHVWHELQHGHILQLW 

Multiplicatorii θ úL β definesc patru regimuri, dintre care numai trei sunt
realizabile SHQWUXF θúLβQXSRWILVLPXOWDQVWULFWSR]LWLYL7UDLHFWRULDRSWLPDO YDIL

FRQVWLWXLW  GLQ SHULRDGH SH GXUDWD F URUD vQWUHSULQGHUHD DGRSW  XQXO GLQ DFHVWH

UHJLPXUL(OHVHFDUDFWHUL]HD] SULQ

- regimul 1 (θ>0, β ÌQWUHSULQGHUHDQXLQYHVWHúWHQLPLF ci distribuie dividendele.

5HOD LD >@ GHYLQH Φ-1+θ=0 FHHD FH LPSOLF  IDSWXO F  YDULDELOD D G M X Q F W 

•
YHULILF LQHJDOLWDWHD Φ(t)<1úLVDWLVIDFHHFXD LDGLIHUHQ LDO  Φ =(a+r)Φ-g’(AN).
•
0 ULPHD vQWUHSULQGHULL GHVFUHúWH FX UDWD ³ a”, deoarece AN (t)=-aAN(t). De
DVHPHQHDPDUMDEUXW úLGLYLGHQGHOHFDUHVXQWHJDOHvQDFHVWFD]GHVFUHVF

- regimul 2 (θ=0, β  ÌQWUHSULQGHUHD LQYHVWHúWH R SDUWH GLQ PDUM  LDU UHVWXO R

GLVWULEXLH FD GLYLGHQGH 5HOD LD >@ DUDW  F  YDULDELOD DGMXQFW  HVWH R FRQVWDQW 

Φ(t)=1, LDU HFXD LD GLIHUHQ LDO  >@ FRQGXFH OD g’(AN)=a+r, sau g’(AN)-a=r, ceea
FH vQVHDPQ  F  UHQWDELOLWDWHD PDUJLQDO  PLQXV DPRUWL]DUHD HVWH HJDO  FX UDWD

GREkQ]LL ÌQWUHSULQGHUHD PHQ LQH P ULPHD VD OD XQ QLYHO FRQVWDQW AN*, nivel ce
UHSUH]LQW  VROX LD HFXD LHL g’(AN)=a+r 5H]XOW  F  vQWUHSULQGHUHD LQYHVWHúWH GRDU

pentru a compensa amortizarea: I = aAN*.

- regimul 3 (θ=0,β!ÌQWUHSULQGHUHDLQYHVWHúWHWRDW PDUMD I(t)=g(AN(t))DVWIHOF 

•
P ULPHD vQWUHSULQGHULL HYROXHD]  GXS  HFXD LD GLIHUHQ LDO : AN (t)=g(AN(t))-aAN(t).

9DULDELOD DGMXQFW  YHULILF  LQHJDOLWDWHD Φ(t)>1 úL VDWLVIDFH HFXD LD GLIHUHQ LDO 

•
Φ =[(a+r)-g’(AN)] Φ RE LQXW  SULQ HOLPLQDUHD OXL  β GLQ UHOD LD >@ úL GLQ
hamiltonian.
 5HJLPXULOHúLSRWILFDUDFWHUL]DWH LQkQGFRQWF VXELSRWH]HOHI FXWHDVXSUD

IXQF LHL J UHQWDELOLWDWHD PHGLH LQVWDQWDQHH HVWH PDL PDUH GHFkW UHQWDELOLWDWHD

PDUJLQDO DGLF 

g(AN)/AN>g’(AN), pentru orice AN≥0.

3URSR]L LD  Atunci când întreprLQGHUHD DGRSW  UHJLPXO  GLYLGHQGHOH Y UVDWH VXQW

strict pozitive.
'HPRQVWUD LH Deoarece a≤a+r, atunci a+r=g’(AN*) úL g’(AN*)<g(AN*)/AN*, UH]XOW 

a≤g(AN*)/AN* DGLF  aAN*<g(AN*), sau g(AN*)-aAN*>0 ([SUHVLD GLQ SDUWHD VWkQJ 

UHSUH]LQW WRFPDLGLYLGHQGHOHY UVDWHGHvQWUHSULQGHUHDF LRQDULORU

3URSR]L LD  'DF  vQWUHSULQGHUHD DGRSW  vQ SHUPDQHQ  UHJLPXO  P ULPHD

întreprinderii tinde spre o valoare AN mai mare decât AN*.

'HPRQVWUD LH(FXD LDGLIHUHQ LDO 

•
AN (t)=g(AN(t))-aAN(t)

admite un punct fix AN  FDUH HVWH VROX LD HFXD LHL g(AN)-aAN = 0 $YHP UHOD LLOH
a=g( AN )/AN, g’( AN )<g( AN )/ AN =a<a+r=g’(AN*),DGLF  g’( AN )<g’(AN*). Deoarece
IXQF LD J
 HVWH GHVFUHVF WRDUH GHULYDWD VD J HVWH QHJDWLY  GLQ g’(AN*)>g’( AN )
*
UH]XOW  AN >AN .

)LHFDUHGLQ FHOH WUHLUHJLPXUL FRUHVSXQG PXO LPLL GH GHFL]LL FDUDFWHULVW ice unei
strategii a întreprinderii. Astfel, regimul 1 corespunde unei strategii de abandon.
ÌQWUHSULQGHUHD vQFHWHD]  V  PDL LQYHVWHDVF  UHGXFkQGX úL SURJUHVLY DFWLYLWDWHD
-
5HJLPXOHVWHUHJLPXOSHUPDQHQWDOPRGHOXOXLÌQWUHSULQGHUHDPHQ LQHDFWLYLWDWHD la
XQ QLYHO FDUH FRUHVSXQGH RSWLPXOXL PDQDJHULDO SH WHUPHQ OXQJ (D LQYHVWHúWH úL

GLVWULEXLH R SDUWH GLQ SURILWXUL DF LRQDULORU 5HJLPXO  HVWH XQ UHJLP GH FUHúWHUH

PD[LPDO  DVRFLDW XQHL VWUDWHJLL GH GH]YROWDUH ÌQWUHSULQGHUHD FRQVDFU  WRW SURILWXO

pentruLQYHVWL LLUHVSHFWkQGFRQGL LDGHDXWRILQDQ DUH

b) Modelul cu împrumut.
Vom generaliza modelul precedent în cazul când întreprinderea poate utiliza
SRVLELOLW LOHGHvPSUXPXWODRUDW NPDLPDUHGHFkWUDWDGREkQ]LL k>r).
 1RW PFX X(t) suma datoriei întreprinderii la data túLFXx(t)YDULD LDGDWRULHLvQ
unitatea de timp la data t 3UHVXSXQHP F  OD GDWD  vQWUHSULQGHUHD QX DUH GDWRULL

•
$YHP UHOD LLOH X (t)=x(t), X(0)=0, X(t)≥ 0. Nivelul datoriei, în orice moment, nu

poate dHS úLRDQXPLW SURSRU LHTGLQIRQGXULOHSURSULLDGLF 

X(t)≤q[AN(t) - X(t)], sau, X(t)≤ sAN(t), cu s=q/(1-q)<1.

ÌQDFHVWHFRQGL LLPRGHOXOVHVFULHVXEIRUPDXQXLSURJUDPGHFRQWURORSWLPDO

astfel:
∞
Max ∫ [g(AN(t)) - I(t) - kX(t) + x(t)]e - rt dt
0

•
AN (t)=I(t)-aAN(t)
•
X (t)=x(t)

I(t)≥0; g(AN(t))-I(t)-kX(t)+x(t)≥0; X(t)≤ sAN(t)

X(t)≥ 0, X(0)=0, AN(0)=AN0
0RGHOXO HVWH FDUDFWHUL]DW GH GRX  YDULDELOH GH VWDUH  AN úL X GRX  YDULDELOH

de control (I úL x úL GH SDWUX UHVWLF LL GH LQHJDOLWDte legate între ele. Scriem
hamiltonianul:
H=(1+β)[g(AN)-I+x-rX]+Φ(I-aAN)+Ψx+θI+γX+σ(sAN-X).
&RQGL LLOHGHRSWLPDOLWDWHVXQW

•
Φ = (a+r)Φ-(1+β)g’(AN)- σs
•
Ψ = rΨ+ k(1+β)+σ-γ

Φ-(1+ β)+ θ=0

-(1+β) +Ψ=0
θI=0, θ≥0, β(g(AN)-I-kX+x)=0, β≥0
σ(sAN-X)= γX=0, σ≥0, γ≥ 0.
 $FHVWHFRQGL LLVXQWFDUDFWHUL]DWHGHSDWUXPXOWLSOLFDWRUL σ,γ,θ,β) care definesc
 UHJLPXUL GLIHULWH GDU QX WRDWH VXQW UHDOL]DELOH / V P FD H[HUFL LX FDUDFWHUL]DUHD

acestor regimuriúLDQDOL]DWUDLHFWRULHLRSWLPDOH

REZUMATUL CAPITOLULUI
1/XDUHDvQFRQVLGHUDUHH[SOLFLW DWLPSXOXLFRQGXFHODPRGHOHGLQDPLFHFDUHVHUH]ROY FXPHWRGD

controlului optimal.
 8Q PRGHO GLQDPLF HVWH FDUDFWHUL]DW GH XUP WRDUHOH HOHPHQWH RUL]RQWXO úL VF ara de timp,
YDULDELOHOHGHVWDUHYDULDELOHOHGHFRQWUROHFXD LDGHWUDQ]L LHDVW ULORUVWDUHDLQL LDO úLFULWHULXOGH

optimizare.
'XS PRGXOGHFRQVLGHUDUHDYDULDELOHLWLPSPRGHOHGLQDPLFHSRWILGLVFUHWHVDXFRQWLQXL

4. Principiul maximului fuUQL]HD] FRQGL LLOHQHFHVDUHGHRSWLPDOLWDWHvQPRGHOHOHGLQDPLFH

5HFRPDQG ULELEOLRJUDILFH>@>@>@>@>@úD